Work

Vector Autoregressive Models with Structural Changes in Regression Coefficients and in Variance-Covariance Matrices

Year: 2000

Type: article

Source: RePEc: Research Papers in Economics

Author: Jushan Bai

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W1486542323

FWCI:

Cites:

Cited by: 81

Related to: 10